Pivot tables

I am trying to create a pivot table from a range of excel data. I have selected and named all the data ranges used in the table, and there are no blank cells within the selection. When I get to the end of the pivot wizard and click 'finish', excel shows the following message:

'The pivot table filed name is not valid. To create a pivot table report, you must use data that is organised as a list with labeled columns. If you are changing the name of a Pivot Table field, you must type a new name for the field.'

What am I doing wrong?